Testing for regime switching: A comment

Econometrica

Volumn 80, Issue 4, 2012, Pages 1809-1812

  Carter, Andrew V ^a   Steigerwald, Douglas G ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Consistent; Markov regime switching; Quasi maximum likelihood

Indexed keywords

EID: 84864312255     PISSN: 00129682     EISSN: 14680262     Source Type: Journal    
DOI: 10.3982/ECTA9622     Document Type: Note

References (5)

1. Carter, A., and D. Steigerwald (2012): "Supplement to 'Testing for Regime-Switching: A Comment'," Econometrica Supplemental Material, 80,.
2. Cho, J., and H. White (2007): "Testing for Regime-Switching," Econometrica, 75, 1671-1720. DOI: 10.1111/j.1468-0262.2007.00809.x.
3. Cho, J., and H. White (2011): "Testing for Regime-Switching: Rejoinder," Unpublished Manuscript, University of California, San Diego.
4. Levine, D. (1983): "A Remark on Serial Correlation in Maximum Likelihood," Journal of Econometrics, 23, 337-342. DOI: 10.1016/0304-4076(83)90062-3.
5. Wald, A. (1949): "Note on the Consistency of the Maximum Likelihood Estimate," Annals of Mathematical Statistics, 20, 595-601. DOI: 10.1214/aoms/1177729952.